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Modelling Nonlinear Relationships between Extended-Memory Variables

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Cited by:

  1. Kim, Hyeongwoo & Ryu, Deockhyun, 2015. "A nonparametric study of real exchange rate persistence over a century," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 406-418.
  2. Granger, Clive W.J. & Hyung, Namwon, 2006. "Introduction to m-m processes," Journal of Econometrics, Elsevier, vol. 130(1), pages 143-164, January.
  3. Hong, Seung Hyun & Phillips, Peter C. B., 2010. "Testing Linearity in Cointegrating Relations With an Application to Purchasing Power Parity," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(1), pages 96-114.
  4. Barnett, William A. & Serletis, Apostolos, 2000. "Martingales, nonlinearity, and chaos," Journal of Economic Dynamics and Control, Elsevier, vol. 24(5-7), pages 703-724, June.
  5. Biqing Cai & Jiti Gao, 2017. "A simple nonlinear predictive model for stock returns," Monash Econometrics and Business Statistics Working Papers 18/17, Monash University, Department of Econometrics and Business Statistics.
  6. Gilles Dufrenot & Elisabeth Grimaud & Eugénie Latil & Valerie Mignon, 2008. "Modelling The Slow Mean‐Reversion Of The Central And Eastern European Countries' Real Exchange Rates," Manchester School, University of Manchester, vol. 76(1), pages 21-43, January.
  7. Arai, Yoichi, 2016. "Testing For Linearity In Regressions With I(1) Processes," Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 57(1), pages 111-138, June.
  8. de Mello Luiz & Moccero Diego & Mogliani Matteo, 2013. "Do Latin American Central Bankers Behave Non-Linearly? The Experiences of Brazil, Chile, Colombia and Mexico," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(2), pages 141-165, April.
  9. Juan Gabriel Brida & Bibiana Lanzilotta & Lucía Rosich, 2019. "Common trends in producers’ expectations, the nonlinear linkage with Uruguayan GDP and its implications in economic growth forecasting," Documentos de Trabajo (working papers) 19-28, Instituto de Economía - IECON.
  10. Jeng, Jau-Lian, 1999. "Interest parity, fractional differencing, and the strength of attraction: a reexamination of the cost-of-carry futures pricing model," Global Finance Journal, Elsevier, vol. 10(1), pages 25-34.
  11. Ghoshray, A., 2018. "The Dynamic Properties of Natural Resource Prices," 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia 277210, International Association of Agricultural Economists.
  12. Kirstin Hubrich & Helmut Lutkepohl & Pentti Saikkonen, 2001. "A Review Of Systems Cointegration Tests," Econometric Reviews, Taylor & Francis Journals, vol. 20(3), pages 247-318.
  13. Yoon, Gawon, 2005. "An introduction to I([infinity]) processes," Economic Modelling, Elsevier, vol. 22(3), pages 473-483, May.
  14. Dittmann, Ingolf & Granger, Clive W. J., 2002. "Properties of nonlinear transformations of fractionally integrated processes," Journal of Econometrics, Elsevier, vol. 110(2), pages 113-133, October.
  15. Corradi, Valentina & Swanson, Norman R. & White, Halbert, 2000. "Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes," Journal of Econometrics, Elsevier, vol. 96(1), pages 39-73, May.
  16. Aparicio, Felipe M., 2003. "On the record properties of integrated time series," DES - Working Papers. Statistics and Econometrics. WS ws036414, Universidad Carlos III de Madrid. Departamento de Estadística.
  17. Escribano, Álvaro & Mira, Santiago, 1997. "Nonlinear cointegration with mixing errors," DES - Working Papers. Statistics and Econometrics. WS 6204, Universidad Carlos III de Madrid. Departamento de Estadística.
  18. Domowitz, Ian & El-Gamal, Mahmoud A., 2001. "A consistent nonparametric test of ergodicity for time series with applications," Journal of Econometrics, Elsevier, vol. 102(2), pages 365-398, June.
  19. Christian Gourieroux & Joanna Jasiak, 1999. "Nonlinear Innovations and Impulse Response," Working Papers 99-44, Center for Research in Economics and Statistics.
  20. Biqing Cai & Chaohua Dong & Jiti Gao, 2015. "Orthogonal Series Estimation in Nonlinear Cointegrating Models with Endogeneity," Monash Econometrics and Business Statistics Working Papers 18/15, Monash University, Department of Econometrics and Business Statistics.
  21. Corradi, Valentina & Swanson, Norman R. & Olivetti, Claudia, 2001. "Predictive ability with cointegrated variables," Journal of Econometrics, Elsevier, vol. 104(2), pages 315-358, September.
  22. El-Gamal, Mahmoud A. & Ryu, Deockhyun, 2006. "Short-memory and the PPP hypothesis," Journal of Economic Dynamics and Control, Elsevier, vol. 30(3), pages 361-391, March.
  23. Berenguer Rico, Vanessa & Gonzalo, Jesús, 2013. "Co-summability from linear to non-linear cointegration," UC3M Working papers. Economics we1312, Universidad Carlos III de Madrid. Departamento de Economía.
  24. Mustapha Baghli, 2004. "Modelling the FF/MM rate by threshold cointegration analysis," Applied Economics, Taylor & Francis Journals, vol. 36(6), pages 533-548.
  25. Kim, Hyeongwoo & Ryu, Deockhyun, 2015. "Measuring the speed of convergence of stock prices: A nonparametric and nonlinear approach," Economic Modelling, Elsevier, vol. 51(C), pages 227-241.
  26. Swanson, Norman R., 2002. "Comments on 'A vector error-correction forecasting model of the US economy'," Journal of Macroeconomics, Elsevier, vol. 24(4), pages 599-606, December.
  27. Douglas Fisher & Adrian R. Fleissig & Apostolos Serletis, 2006. "An Empirical Comparison of Flexible Demand System Functional Forms," World Scientific Book Chapters, in: Money And The Economy, chapter 13, pages 247-277, World Scientific Publishing Co. Pte. Ltd..
  28. Jesús Gonzalo & Jean‐Yves Pitarakis, 2006. "Threshold Effects in Cointegrating Relationships," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 813-833, December.
  29. Sandrine Lardic & Valérie Mignon, 2004. "Robert F. Engle et Clive W.J. Granger prix Nobel d'économie 2003," Revue d'économie politique, Dalloz, vol. 114(1), pages 1-15.
  30. Mira, Santiago & Escribano, Álvaro, 1995. "Nonlinear time series models: consistency and asymptotic normality of nls under new conditions," DES - Working Papers. Statistics and Econometrics. WS 6202, Universidad Carlos III de Madrid. Departamento de Estadística.
  31. Christian Gourieroux & Joann Jasiak, 1999. "Nonlinear Persistence and Copersistence," Working Papers 2000_1, York University, Department of Economics.
  32. Biqing Cai & Jiti Gao, 2013. "Hermite Series Estimation in Nonlinear Cointegrating Models," Monash Econometrics and Business Statistics Working Papers 17/13, Monash University, Department of Econometrics and Business Statistics.
  33. Schorderet, Yann, 2001. "Revisiting Okun's Law: An Hysteretic Perspective," University of California at San Diego, Economics Working Paper Series qt2fb7n2wd, Department of Economics, UC San Diego.
  34. Kasparis, Ioannis & Andreou, Elena & Phillips, Peter C.B., 2015. "Nonparametric predictive regression," Journal of Econometrics, Elsevier, vol. 185(2), pages 468-494.
  35. Frédérique Bec & Mélika Ben Salem, 2004. "L'ajustement à seuil des processus cointégrés. Que sait-on des modèles à trois régimes ?," Revue d'économie politique, Dalloz, vol. 114(4), pages 467-488.
  36. Li, Dao & He, Changli, 2012. "Testing for Linear Cointegration Against Smooth-Transition Cointegration," Working Papers 2012:6, Örebro University, School of Business.
  37. Breitung, Jorg, 2001. "Rank Tests for Nonlinear Cointegration," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(3), pages 331-340, July.
  38. Aparicio, Felipe M. & Escribano, Álvaro, 1997. "Searching for linear and nonlinear cointegration: a new approach," DES - Working Papers. Statistics and Econometrics. WS 6219, Universidad Carlos III de Madrid. Departamento de Estadística.
  39. Baghli Mustapha, 2005. "Nonlinear Error-Correction Models for the FF/DM Rate," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(1), pages 1-43, March.
  40. Gilles Dufrénot & Valérie Mignon, 2002. "La cointégration non linéaire : une note méthodologique," Economie & Prévision, La Documentation Française, vol. 155(4), pages 117-137.
  41. repec:wyi:journl:002062 is not listed on IDEAS
  42. Khurshid M. Kiani & Prasad V. Bidarkota, 2004. "On Business Cycle Asymmetries in G7 Countries," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 66(3), pages 333-351, July.
  43. Peter Sephton, 2001. "Forecasting recessions: can we do better on MARS?," Review, Federal Reserve Bank of St. Louis, vol. 83(Mar), pages 39-49.
  44. Shepherd, David & Shi, Francis K.C., 2006. "Fuzzy modelling and estimation of economic relationships," Computational Statistics & Data Analysis, Elsevier, vol. 51(1), pages 417-433, November.
  45. Khurshid M. Kiani, 2009. "Asymmetries in Macroeconomic Time Series in Eleven Asian Economies," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 8(1), pages 37-54, April.
  46. Norman R. Swanson, 2010. "Further Developments in the Study of Cointegrated Variables," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 8(2), pages 187-190, spring.
  47. Domowitz, I. El-Gamal, M., 1997. "Financial Market Structure and the Ergocicity of Prices," Working papers 9719, Wisconsin Madison - Social Systems.
  48. Berenguer-Rico, Vanessa & Gonzalo, Jesús, 2014. "Summability of stochastic processes—A generalization of integration for non-linear processes," Journal of Econometrics, Elsevier, vol. 178(P2), pages 331-341.
  49. Lan, Hong & Meyer-Gohde, Alexander, 2013. "Solving DSGE models with a nonlinear moving average," Journal of Economic Dynamics and Control, Elsevier, vol. 37(12), pages 2643-2667.
  50. Fouquet, Roger & Pearson, Peter & Hawdon, David & Robinson, Colin & Stevens, Paul, 1997. "The future of UK final user energy demand," Energy Policy, Elsevier, vol. 25(2), pages 231-240, February.
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